📊 Probability Recovery Analysis

Options with Historical High Probability - Put Writing Strategy Insights

Executive Summary

This analysis tests whether options that previously had high probability (80%+) but dropped to lower levels still expire worthless more often than their current probability suggests. You can now explore different historical peak thresholds (80%, 85%, 90%, 95%) to see how the advantage varies.

Best Advantage

+54.1pp
Bayesian Calibrated

Scenario

60-70%
36+ days @ 80%+ threshold

Recovery Candidates

75.2%
49,626 samples

Baseline

21.1%
10,799 samples

🏆 Key Finding: Historical High Probability is a Strong Signal!

Options that previously peaked at high probability levels perform significantly better than their current probability suggests.

Interactive Analysis

How to use: Select filters below to see how "recovery candidates" compare to baseline options across different scenarios. Green bars show recovery candidates (options that peaked at the selected threshold), red bars show baseline options (never reached the threshold).

Note: Days to Expiry (DTE) are measured in calendar days, not market/business days.

Top 5 Scenarios (Overall Best)

Threshold Method Current Prob DTE Recovery Candidate Rate Baseline Rate Advantage
80%+ Bayesian Calibrated 60-70% 36+ days 75.2% (49,626) 21.1% (10,799) +54.08pp
85%+ Original Black-Scholes 50-60% 36+ days 88.3% (35,765) 34.3% (50,957) +54.05pp
80%+ Original Black-Scholes 50-60% 36+ days 80.6% (47,417) 27.6% (39,305) +53.00pp
80%+ Bayesian Calibrated 70-80% 36+ days 78.8% (83,146) 27.7% (5,871) +51.13pp
85%+ Bayesian Calibrated 60-70% 36+ days 79.8% (43,392) 29.1% (17,033) +50.73pp

Interpretation & Strategy

What This Means for Put Writing

When writing put options to collect premium, you want options that expire worthless. This analysis shows that historical probability provides crucial additional information beyond current probability.

Practical Application

  1. Track Probability History: Monitor options over time to identify when they peak at 90%+
  2. Write on the Dip: When a 90%+ option drops to 60-70%, it's MUCH safer than a typical 60-70% option
  3. Focus on 36+ Days: Longer-dated options show the strongest recovery candidate effect
  4. Use Bayesian Method: Shows the clearest advantage (+43pp in best scenario)
⚠ Important Caveats: